Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2025
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866909726955012096 |
|---|---|
| author | Mei, Hongwei Wang, Rui Yong, Jiongmin |
| author_facet | Mei, Hongwei Wang, Rui Yong, Jiongmin |
| contents | This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper \cite{Mei-Wang-Yong-2025}, in which the strong turnpike property was established for homogeneous linear systems with purely quadratic cost functionals. We extend the results to the current situation. It turns out that some of the results are new even for the cases without regime switchings. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_04993 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases Mei, Hongwei Wang, Rui Yong, Jiongmin Optimization and Control 49N10, 93D20, 93E15, 93E20 This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper \cite{Mei-Wang-Yong-2025}, in which the strong turnpike property was established for homogeneous linear systems with purely quadratic cost functionals. We extend the results to the current situation. It turns out that some of the results are new even for the cases without regime switchings. |
| title | Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases |
| topic | Optimization and Control 49N10, 93D20, 93E15, 93E20 |
| url | https://arxiv.org/abs/2508.04993 |